Disquisition Of Portfolio Investment Model With Probability Criterion

The modern financial theory provided a scientific method-for the portfolioinvestment. There are many other models have been advanced from Markowitz'sportfolio model, of which the portfolio model based on probability criterion by Tangwansheng is special. Unlike other models, the probability criterion model doesn't takethe expectation as the basis of the decision, but take the probability that the actualincome is more than the expected income as the target function, and try to make it thegreatest.On the basis of portfolio investment model with probability criterion, under thebackground of short sell which will appear in china. First, the Markowitz mean value—variance model is analyzed and investigated. Then, the probability criterion modeland its development and current situation is presented.Then, based on the results of others, this paper presents margin portfolioinvestment model with probability criterion. The model is then investigated and thenecessary condition for which the model have that optimal solution is discussed. Also,the range of the function value is estimated and the structure of the optimal solution isstudied. The model present here is of realistic significance in the portfolio decision ofthe securities market in China.Finally, considering the disadvantage of the Markowitz mean value- variancemodel and the probability criterion model that the calculation is so complicated, thispaper presentsβ-value portfolio investment model with probability criterion underthe background of short sell will appear in china. The model is investigated. Thecondition that the solution may exist is discussed and analytic expression of thesolution is obtained. In this model, the problem that part parameters needing to beestimated in the previous portfolio investment model with probability criteriondisappears. So the model is simplified in some sense and can serve as a good guider inthe portfolio selection.The two model presented in this paper can be a good supplement of the researchon Markowitz mean value-variance model and the probability criterion model.